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This submission provides functions (and examples scripts) for estimation, simulation and forecasting of a general Markov Regime Switching Regression.
Features of the package:
- Support for univariate and multivariate models.
- Support of any number of states and any number of explanatory variables.
- Estimation, by maximum likelihood, of any type of switching setup for the model. This means that you can choose which...
This is a simple algorithm that downloads trading data from yahoo database. It is basically a large scale application of sqq.m which was originally submitted by Michael Boldin, link at acknowledgements.
Some of the functionalities of...
This toolbox was designed to simulate and fit linear state space models.
The main literature I used for this particular package is Kim and Nelson (1999).
A state space model (without non stochastic coefficients) is given...
For those not familiarized with financial concepts, charting is a part of technical analysis that tries to forecast short term market behavior based on chart patterns.
The idea of this game is quite simple. Based on a REAL database of...
This is the algorithm involved on the use of the non-linear forecast of asset's prices based on the nearest neighbour method.
The basic idea of the NN algorithm is that the time series copies it's own past behavior, and such fact can be...
This submission includes functions and scripts for the estimation and simulation of ACD (autoregressive conditional duration) models.
The zip file includes:
- Scripts and functions for Estimation of an ACD(q,p) model with...
This function performs the classical pairs trading framework in a given set of prices
From Wikipedia, the free encyclopedia:
d-deDUThe pairs trade was developed in the late 1980s by quantitative analysts and pioneered by Gerald...
Considering some input arguments, this function performs n simulations with random trades in a price matrix, saving 3 performance indicators (annualized return, annualized standard deviation and annualized sharpe) at each simulation
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